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Uncertainty aversion and the optimal choice of portfolio
Dow, James; Werlang, Sérgio Ribeiro da Costa - 1988 - Rev
Persistent link: https://www.econbiz.de/10000783085
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Nichtparametrische integrierte Rendite- und Risikoprognosen im Asset Management mit Hilfe von Prädiktorselektionsverfahren
Hildebrandt, Johannes - 2009 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003884140
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On historical value at risk under distribution uncertainty
Iizuka, Atsushi; Nakano, Yumiharu - In: Journal of mathematical finance 5 (2015) 2, pp. 113-118
Persistent link: https://www.econbiz.de/10011398743
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Comparison of risks based on the expected proportional shortfall
Belzunce, Félix; Pinar, José F.; Ruiz, José M.; … - In: Insurance / Mathematics & economics 51 (2012) 2, pp. 292-302
Persistent link: https://www.econbiz.de/10009669659
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Properties of a risk measure derived from the expected area in red
Loisel, Stéphane; Trufin, Julien - In: Insurance / Mathematics & economics 55 (2014), pp. 191-199
Persistent link: https://www.econbiz.de/10010366178
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Collective risk-taking decisions with heterogeneous beliefs
Gollier, Christian - 2003
degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
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Measuring risk when expected losses are unbounded
Balbás de la Corte, Alejandro; Blanco, Iván; Garrido, … - In: Risks : open access journal 2 (2014) 4, pp. 411-424
This paper proposes a new method to introduce coherent risk measures for risks with infinite expectation, such as those … characterized by some Pareto distributions. Extensions of the conditional value at risk, the weighted conditional value at risk and …
Persistent link: https://www.econbiz.de/10010489103
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Heterogeneous expectations and equilibrium price of a risky asset : a note
Dokko, Yoon; Kim, Myung-Jin - 1984
Persistent link: https://www.econbiz.de/10002099514
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Uncertainty aversion, risk aversion, and the optimal choice of portfolio
Dow, James - In: Econometrica : journal of the Econometric Society, an … 60 (1992) 1, pp. 197-204
Persistent link: https://www.econbiz.de/10001121802
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Expected utility without utility : a model of portfolio selection
Castagnoli, Erio - In: Operations research models in quantitative finance : …, (pp. 95-111). 1994
Persistent link: https://www.econbiz.de/10001315482